• About
  • Policies
  • What is open access
  • Library
  • Contact
Advanced search
      View Item 
      •   BUIR Home
      • University Library
      • Bilkent Theses
      • Theses - Department of Economics
      • Dept. of Economics - Master's degree
      • View Item
      •   BUIR Home
      • University Library
      • Bilkent Theses
      • Theses - Department of Economics
      • Dept. of Economics - Master's degree
      • View Item
      JavaScript is disabled for your browser. Some features of this site may not work without it.

      Comparison of several estimators for the covariance of the coefficient matrix

      Thumbnail
      View / Download
      1.1 Mb
      Author(s)
      Orhan, Mehmet
      Advisor
      Zaman, Asad
      Date
      1995
      Publisher
      Bilkent University
      Language
      English
      Type
      Thesis
      Item Usage Stats
      146
      views
      62
      downloads
      Abstract
      The standard regression analysis assumes that the variances of the disturbance terms are constant, and the ordinary least squares (OLS) method employs this very crucial assumption to estimate the covariance of the disturbance terms perfectly, but OLS fails to estimate well when the variance of the disturbance terms vary across the observations. A very good method suggested by Eicker and improved by White to estimate the covariance matrix of the disturbance terms in case of heteroskedeisticity was proved to be biased. This paper evaluates the performance of White’s method as well as the OLS method in several different settings of regression. Furthermore, bootstrapping, a new method which very heavily depends on computer simulation is included. Several types of this method are used in several cases of homoskedastic, heteroskedastic, balanced, and unbalanced regressions.
      Keywords
      Homoskedasticity
      heteroskedasticity
      balanced and unbalanced regression
      bootstrapping
      OLS
      Permalink
      http://hdl.handle.net/11693/17160
      Collections
      • Dept. of Economics - Master's degree 325
      Show full item record

      Browse

      All of BUIRCommunities & CollectionsTitlesAuthorsAdvisorsBy Issue DateKeywordsTypeDepartmentsCoursesThis CollectionTitlesAuthorsAdvisorsBy Issue DateKeywordsTypeDepartmentsCourses

      My Account

      Login

      Statistics

      View Usage StatisticsView Google Analytics Statistics

      Bilkent University

      If you have trouble accessing this page and need to request an alternate format, contact the User and Access Services. Phone: (312) 290 1298
      © Bilkent University - Library IT

      Contact Us | Send Feedback | Off-Campus Access | Admin | Privacy